Mathematical risk analysis :
Rüschendorf, Ludger, 1948-
Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Rüschendorf. - Berlin ; New York : Springer, 2013. - xii, 408 p. : ill. ; 25 cm. - Springer series in operations research and financial engineering, 1431-8598 . - Springer series in operations research. .
Includes bibliographical references (pages 385-398) and index.
Copulas, Sklar's Theorem, and Distributional Transform -- Fréchet Classes, Risk Bounds, and Duality Theory -- Convex Order, Excess of Loss, and Comonotonicity -- Bounds for the Distribution Function and Value at Risk of the Joint Portfolio -- Restrictions on the Dependence Structure -- Dependence Orderings of Risk Vectors and Portfolios -- Risk Measures and Worst Case Portfolios -- Risk Measures for Real Risks -- Risk Measures for Portfolio Vectors -- Law Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation -- Optimal Risk Allocation -- Optimal Allocations and Pareto Equilibrium -- Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- Optimal Contingent Claims and (Re)insurance Contracts -- Optimal Portfolios and Extreme Risks -- Optimal Portfolio Diversification w.r.t. Extreme Risks -- Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses.
9783642335891 3642335896
2012953468
HD61 / .R86 2013
658.155
Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Rüschendorf. - Berlin ; New York : Springer, 2013. - xii, 408 p. : ill. ; 25 cm. - Springer series in operations research and financial engineering, 1431-8598 . - Springer series in operations research. .
Includes bibliographical references (pages 385-398) and index.
Copulas, Sklar's Theorem, and Distributional Transform -- Fréchet Classes, Risk Bounds, and Duality Theory -- Convex Order, Excess of Loss, and Comonotonicity -- Bounds for the Distribution Function and Value at Risk of the Joint Portfolio -- Restrictions on the Dependence Structure -- Dependence Orderings of Risk Vectors and Portfolios -- Risk Measures and Worst Case Portfolios -- Risk Measures for Real Risks -- Risk Measures for Portfolio Vectors -- Law Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation -- Optimal Risk Allocation -- Optimal Allocations and Pareto Equilibrium -- Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- Optimal Contingent Claims and (Re)insurance Contracts -- Optimal Portfolios and Extreme Risks -- Optimal Portfolio Diversification w.r.t. Extreme Risks -- Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses.
9783642335891 3642335896
2012953468
HD61 / .R86 2013
658.155